Madsen said the suspect "has been in our sights," but added that his agency "has no specific or concrete knowledge" that he had travelled to Iraq and Syria to fight or train alongside militant groups.

Danish media reported that police raided a Copenhagen Internet cafe and that at least two people had been taken away by the officers.

The first shooting took place in the afternoon on February 14 in a cafe hosting a freedom of speech event attended by Lars Vilks, a Swedish artist who has received death threats for satirizing the Prophet Muhammad in cartoons.

Vilks, the presumed target, escaped unharmed but Danish documentary filmmaker Finn Norgaard, 55, was killed in the assault on the Krudttonden cafe.

The second attack, some 10 hours later, took place near the city's main synagogue. Dan Uzan, a member of Copenhagen's Jewish community, was shot in the head and killed.

The suspect was traced to an apartment building after police were tipped off by a taxi driver who had given him a ride after the first shooting.

The attacks prompted widespread condemnation.

Danish Prime Minister Helle Thorning-Schmidt said "Denmark has been hit by terror."

"There is only one answer we can already give today," she continued. "And that is that we will defend our democracy and Denmark."

UN Secretary-General Ban Ki-moon condemned the deadly attacks and called on society to stand up for tolerance and free expression.

"There is no space for anti-Semitism or any form of racial, ethni, or religious discrimination in today's world," he said in a statement on February 15.

Israeli Prime Minister Benjamin Netanyahu said "the wave of attacks" against Jews in Europe is expected to continue and told Europe's Jews that they are welcome in Israel.

"We are preparing and calling for the absorption of mass immigration from Europe," Netanyahu said. "I would like to tell all European Jews and all Jews wherever they are: 'Israel is the home of every Jew.'"

A vigil for the victims is planned for the evening of February 16 in Copenhagen.